Exit time distribution in spherically symmetric two-dimensional domains

DOI10.1007/S10955-014-1116-6zbMATH Open1317.82045arXiv1409.7624OpenAlexW3099766978MaRDI QIDQ2355671FDOQ2355671

Authors: J.-F. Rupprecht, D. S. Grebenkov, O. Bénichou, Raphael Voituriez 

Publication date: 24 July 2015

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Abstract: The distribution of exit times is computed for a Brownian particle in spherically symmetric two- dimensional domains (disks, angular sectors, annuli) and in rectangles that contain an exit on their boundary. The governing partial differential equation of Helmholtz type with mixed Dirichlet- Neumann boundary conditions is solved analytically. We propose both an exact solution relying on a matrix inversion, and an approximate explicit solution. The approximate solution is shown to be exact for an exit of vanishing size and to be accurate even for large exits. For angular sectors, we also derive exact explicit formulas for the moments of the exit time. For annuli and rectangles, the approximate expression of the mean exit time is shown to be very accurate even for large exits. The analysis is also extended to biased diffusion. Since the Helmholtz equation with mixed boundary conditions is encountered in microfluidics, heat propagation, quantum billiards, and acoustics, the developed method can find numerous applications beyond exit processes.

Full work available at URL: https://arxiv.org/abs/1409.7624

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zbMATH Keywords

heat transferHelmholtz equationmixed boundary conditionexit timemicrofluidicresidence timeactive transport

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Superprocesses (60J68)

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Cited In (17)

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• Survival in a nanoforest of absorbing pillars
• Diffusion across semi-permeable barriers: spectral properties, efficient computation, and applications
• Almost exponential decay for the exit probability from slabs of ballistic RWRE
• Interlacing relaxation and first-passage phenomena in reversible discrete and continuous space Markovian dynamics
• Joint distribution of multiple boundary local times and related first-passage time problems with multiple targets
• First Passage Statistics for the Capture of a Brownian Particle by a Structured Spherical Target with Multiple Surface Traps
• Mean exit time in irregularly-shaped annular and composite disc domains
• Mean exit time for surface-mediated diffusion: spectral analysis and asymptotic behavior
• Survival probability of random walks leaping over traps
• Statistics of the maximum and the convex hull of a Brownian motion in confined geometries
• Distribution of extreme first passage times of diffusion
• Exit times of diffusions with incompressible drift
• First-passage times of multiple diffusing particles with reversible target-binding kinetics
• The narrow escape problem in a circular domain with radial piecewise constant diffusivity
• First passage time statistics for two-channel diffusion
• Analytical solutions for an escape problem in a disc with an arbitrary distribution of exit holes along its boundary

Uses Software

• COMSOL
• INVLAP

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